dccObj

Auxiliary functions used in the estimation of the multivariate TV(s)-GARCH(p,q,r)-X model. Not intended for the average user.

Econometrics

Financial Econometrics

Nonlinear Time Series

Time Varying Parameter Models

Simulation, estimation and inference for univariate and multivariate TV(s)-GARCH(p,q,r)-X models, where s indicates the number and shape of the transition functions, p is the ARCH order, q is the GARCH order, r is the asymmetry order, and 'X' indicates that covariates can be included; see Campos-Martins and Sucarrat (2024) <doi:10.18637/jss.v108.i09>. In the multivariate case, variances are estimated equation by equation and dynamic conditional correlations are allowed. The TV long-term component of the variance as in the multiplicative TV-GARCH model of Amado and Terasvirta (2013) <doi:10.1016/j.jeconom.2013.03.006> introduces non-stationarity whereas the GARCH-X short-term component describes conditional heteroscedasticity. Maximisation by parts leads to consistent and asymptotically normal estimates.

Susana Campos-Martins

tvgarch

Time Varying GARCH Modelling

Genaro Sucarrat

dccObj function

<dl> <dt>par.dcc</dt>
<dd>numeric <code>vector</code> containing the ARCH- and GARCH-type coefficients in the dynamic conditional correlations.</dd> <dt>z</dt>
<dd><code>matrix</code> of standardized residuals.</dd> <dt>sigma2</dt>
<dd><code>matrix</code> of conditional variances.</dd> <dt>flag</dt>
<dd><code>integer</code>. If 0, returns a numeric vector with the values of the objective function; if 1 returns the the value of the objective function; if 2, returns the fitted variance components.</dd></dl>

Arguments

Author

Auxiliary functions — dccObj

<dl>

 <dt>par.dcc</dt>
<dd>numeric <code>vector</code> containing the ARCH- and GARCH-type coefficients in the dynamic conditional correlations.</dd>

 <dt>z</dt>
<dd><code>matrix</code> of standardized residuals.</dd>

 <dt>sigma2</dt>
<dd><code>matrix</code> of conditional variances.</dd>

 <dt>flag</dt>
<dd><code>integer</code>. If 0, returns a numeric vector with the values of the objective function; if 1 returns the the value of the objective function; if 2, returns the fitted variance components.</dd>

</dl>

dccObj: Auxiliary functions

Description

Usage

Value

Arguments

Author

References

See Also